Effects of adopting inflation targeting regimes on inflation variability

Hakan Berument () and Ebru Yuksel

Physica A: Statistical Mechanics and its Applications, 2007, vol. 375, issue 1, 265-273

Abstract: This paper investigates whether inflation-targeting programs have altered the pattern of inflation and its variability for five developed countries and four emerging economies implementing inflation-targeting programs. A GARCH specification is used to model inflation variability, which accounts for public perception of the future levels of inflation variability—conditional variance. We could not find lower conditional inflation expectations except for Australia, Chile and Sweden under various specifications. Moreover, the conditional variance decreases only for Chile and the UK. Therefore, the empirical support for the lower inflation and its variability for the inflation targeting regimes is limited.

Keywords: GARCH; Inflation targeting and inflation variability (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (9)

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Working Paper: Effects of Adopting Inflation Targeting Regimes on Inflation Variability (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:375:y:2007:i:1:p:265-273

DOI: 10.1016/j.physa.2006.08.047

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